QuantLib_CubicBSplinesFitting

Langue: en

Autres versions - même langue

Version: 373657 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::CubicBSplinesFitting -

CubicSpline B-splines fitting method.

SYNOPSIS


#include <ql/termstructures/yield/nonlinearfittingmethods.hpp>

Inherits QuantLib::FittedBondDiscountCurve::FittingMethod.

Public Member Functions


CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true)

Real basisFunction (Integer i, Time t) const
cubic B-spline basis functions
std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const
clone of the current object

Detailed Description

CubicSpline B-splines fitting method.

Fits a discount function to a set of cubic B-splines $ N_{i,3}(t) $, i.e., [ d(t) = um_{i=0}^{n} c_i * N_{i,3}(t) ]

See: McCulloch, J. 1971, 'Measuring the Term Structure of
        Interest Rates.' Journal of Business, 44: 19-31

McCulloch, J. 1975, 'The tax adjusted yield curve.' Journal of Finance, XXX811-30

Warning

"The results are extremely sensitive to the number and location of the knot points, and there is no optimal way of selecting them.' James, J. and
                  N. Webber, 'Interest Rate Modelling" John Wiley, 2000, pp. 440. 

Examples:

FittedBondCurve.cpp.

Author

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